Abstract
Using the GARCH-Copula modelling technique, the aim of this study is to assess the response of the South African Stock market returns to oil prices volatility based on daily South African stock market index. The results of the analysis show evidence of an asymmetric impact of the fluctuations of oil prices on South African stock market returns using copula model specifications. The modelling strategy used has also revealed that the EGARCH process is the best univariate model to capture oil price volatility. Because of its heavy dependence on oil price fluctuations, the tourism sector was found to be the most affected sector. The results suggest important economic recommendations. Firstly, sectors affected by oil price fluctuations need specific long-term and short-term monetary policy strategies. Precisely, in the short term, it is recommended that policy makers pursue expansionary monetary policy that can help to mitigate the impact of higher oil prices, while in the long term, policies aimed at reducing volatile oil prices should be pursued in an effort to mitigate the impact of harmful oil prices volatility on stock market returns...